Now that I have been doing that I can see why you want to get a device:-) The nikon mailing list has discussed this before and several people have used a di-gps device:
http://www.dawntech.hk/di-GPS/index.htm

The Nikon device is quite expensive (USD 230) in comparison with other real-time geo-tagging units, such as Geometr, Solmeta and Promote (± USD 150).
Also, Nikon does not reveal the origin of its gps chip, which leaves at least reasonable doubt about it's effectiveness.
Most third party units use the latest generation SiRF Star III, which is extremely fast at locking in on satellites, and generally maintains locking even indoor, under tree cover or heavy clouding.
Most Nikon's - apart of the so-called Babies - include a geo-tagging device connection, be that the 10 pin remote or a dedicated port; no other camera brand except for Fuji currently allows for real time geo-tagging. For more information you might want to read this:
http://blog.gerardprins.com/blog2.php/2009/04/29/geotagging-for-nikon-review-promote-gps
http://blog.gerardprins.com/blog2.php/2009/06/05/competition-nikon-gp1-promote-gps-d90

All recent Nikon cameras, including the (baby) D3100, allow for real time geo-tagging.